BLD: refinements to positions synchronization in live mode

catalyst/exchange/exchange.py

@@ -3,7 +3,6 @@ from abc import ABCMeta, abstractmethod, abstractproperty
 from datetime import timedelta
 from time import sleep
 
-import ccxt
 import numpy as np
 import pandas as pd
 from logbook import Logger
@@ -14,13 +13,12 @@ from catalyst.exchange.bundle_utils import get_start_dt, \
     get_delta, get_periods, get_periods_range
 from catalyst.exchange.exchange_bundle import ExchangeBundle
 from catalyst.exchange.exchange_errors import MismatchingBaseCurrencies, \
-    BaseCurrencyNotFoundError, SymbolNotFoundOnExchange, \
+    SymbolNotFoundOnExchange, \
     PricingDataNotLoadedError, \
     NoDataAvailableOnExchange, NoValueForField, LastCandleTooEarlyError, \
-    TickerNotFoundError, BalanceNotFoundError, BalanceTooLowError
+    TickerNotFoundError, BalanceNotFoundError, NotEnoughCashError
 from catalyst.exchange.exchange_utils import get_exchange_symbols, \
     get_frequency, resample_history_df, has_bundle
-from catalyst.utils.deprecate import deprecated
 
 log = Logger('Exchange', level=LOG_LEVEL)
 
@@ -666,27 +664,12 @@ class Exchange:
             )
 
         if free < amount:
-            limit = amount * (1 - self.low_balance_threshold)
-            if free < limit:
-                raise BalanceTooLowError(
-                    currency=currency,
-                    exchange=self.name,
-                    free=free,
-                    amount=amount,
-                )
-
-            log.debug(
-                'detected lower balance for {} on {}: {} < {}, '
-                'updating position amount'.format(
-                    currency, self.name, free, amount
-                )
-            )
             return free, True
 
         else:
             return free, False
 
-    def sync_positions(self, positions, check_balances=False):
+    def sync_positions(self, positions, cash=None, check_balances=False):
         """
         Update the portfolio cash and position balances based on the
         latest ticker prices.
@@ -702,20 +685,23 @@ class Exchange:
         """
         log.debug('synchronizing portfolio with exchange {}'.format(self.name))
 
-        cash = None
+        free_cash = 0.0
         if check_balances:
             balances = self.get_balances()
 
-            cash = balances[self.base_currency]['free'] \
-                if self.base_currency in balances else None
-
-            if cash is None:
-                raise BaseCurrencyNotFoundError(
-                    base_currency=self.base_currency,
-                    exchange=self.name,
+            if cash is not None:
+                free_cash, is_lower = self._check_low_balance(
+                    currency=self.base_currency,
                     balances=balances,
+                    amount=cash,
                 )
-            log.debug('found base currency balance: {}'.format(cash))
+                if is_lower:
+                    raise NotEnoughCashError(
+                        currency=self.base_currency,
+                        exchange=self.name,
+                        free=free_cash,
+                        cash=cash,
+                    )
 
         positions_value = 0.0
         if positions is not None:
@@ -750,7 +736,7 @@ class Exchange:
                     )
 
                     if is_lower:
-                        log.debug(
+                        log.warn(
                             'detected lower balance for {} on {}: {} < {}, '
                             'updating position amount'.format(
                                 asset.symbol, self.name, free, position.amount
@@ -758,7 +744,7 @@ class Exchange:
                         )
                         position.amount = free
 
-        return cash, positions_value
+        return free_cash, positions_value
 
     def order(self, asset, amount, style):
         """Place an order.

catalyst/exchange/exchange_algorithm.py

@@ -10,6 +10,7 @@
 # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 # See the License for the specific language governing permissions and
 # limitations under the License.
+import copy
 import pickle
 import signal
 import sys
@@ -18,7 +19,6 @@ from os import listdir
 from os.path import isfile, join
 from time import sleep
 
-import copy
 import logbook
 import pandas as pd
 
@@ -29,7 +29,7 @@ from catalyst.exchange.exchange_blotter import ExchangeBlotter
 from catalyst.exchange.exchange_errors import (
     ExchangeRequestError,
     ExchangePortfolioDataError,
-    OrderTypeNotSupported, CashTooLowError)
+    OrderTypeNotSupported)
 from catalyst.exchange.exchange_execution import ExchangeLimitOrder
 from catalyst.exchange.exchange_utils import (
     save_algo_object,
@@ -523,10 +523,9 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
                 cash, positions_value = exchange.sync_positions(
                     positions=exchange_positions,
                     check_balances=check_balances,
+                    cash=self.portfolio.cash,
                 )
-                if cash is not None:
-                    total_cash += cash
-
+                total_cash += cash
                 total_positions_value += positions_value
 
                 # Applying modifications to the original positions
@@ -541,13 +540,6 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
             if not check_balances:
                 total_cash = self.portfolio.cash
 
-            elif total_cash < self.portfolio.cash:
-                raise CashTooLowError(
-                    currency=self.exchanges[0].base_currency,
-                    free=total_cash,
-                    cash=self.portfolio.cash,
-                )
-
             return total_cash, total_positions_value
 
         except ExchangeRequestError as e:

catalyst/exchange/exchange_errors.py

@@ -279,6 +279,15 @@ class NotEnoughCapitalError(ZiplineError):
     ).strip()
 
 
+class NotEnoughCashError(ZiplineError):
+    msg = (
+        'Total {currency} amount on {exchange} is lower than the cash '
+        'reserved for this algo: {free} < {cash}. While trades can be made on '
+        'the exchange accounts outside of the algo, exchange must have enough '
+        'free {currency} to cover the algo cash.'
+    ).strip()
+
+
 class LastCandleTooEarlyError(ZiplineError):
     msg = (
         'The trade date of the last candle {last_traded} is before the '
@@ -306,12 +315,3 @@ class BalanceTooLowError(ZiplineError):
         'add positions to hold a free amount greater than {amount}, or clean '
         'the state of this algo and restart.'
     ).strip()
-
-
-class CashTooLowError(ZiplineError):
-    msg = (
-        'Total {currency} amount on exchanges is lower than the cash reserved '
-        'for this algo: {free} < {cash}. While trades can be made on the '
-        'exchange accounts outside of the algo, they must not compromise '
-        'the required amount of free {currency}.'
-    ).strip()